Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 08 (3D) Dec 09 (4D) Dec 10 (5D) Dec 11 (6D) Dec 12 (7D) Dec 15 (10D) Dec 16 (11D) Dec 17 (12D) Dec 18 (13D) Dec 19 (14D) Dec 26 (21D)
lower 676.086 674.608 673.306 672.129 671.046 668.197 667.346 666.532 665.752 665.001 660.363
upper 695.194 696.672 697.974 699.151 700.234 703.083 703.934 704.748 705.528 706.279 710.917
expected move 9.554 11.032 12.334 13.511 14.594 17.443 18.294 19.108 19.888 20.639 25.277
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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